''Non stationarity characteristics of the S\&P500 returns:An approach based on the evolutionary spectral density.''

( 2003, Vol. 3 No.32 )

In this paper we study the characteristics of the non stationarity of the covariance structure of the S\&P 500 returns by analyzing the time spectral density of the data. We show that the S\&P 500 returns has the same characteristics as the modulate white noise process. So, some precautions must be taken before applying traditional stationary models to describe like long size financial time series.